No offense, but it might be easier to just tell us the playing style you're looking for. I can only give short answers but how you build your list is the most important part. Most groups can play with all approaches.

What are the major differences in the play styles between Cygnar and Menoth?

I currently play WHFB and WH:40k, using O&G, VC, and BA armies. So I have 2 horde-ish armies with lots of magic (O&G have lots of war machines and Vampires have tricked out characters) and then Blood Angels are a balanced group with some emphasis on CC.

So which one of the two previously mentioned Warmachine armies fits my GW styles.

Though cygnar can do the CC it doesn't like to without it being on its terms. Menoth, on the other hand, has some of the games most ef'ed up CC units and solos. Their spellcaster warcasters are great and they've quite a few solos/units that act as mini-spellcasters. This army is all about enhancing your units with the right boost at the right time so it can beat the tar out of the enemy. Sounds a lot like you fantasy armies.

'An open mind is like a fortress with its walls unguarded and its gates wide open' -Blood Ravens

Starter Force for PoM

What would be a good starting force (500pts) for Protectorate of M?

I am looking for a force that would at least be competitive against most 500 pt armies (warmachine and hordes) that I can buy to learn how to play, without spending too much on units that will not be used often if I expand.

Well I can help give you a good 500 point list for Protectorate of Menoth, but theres alot of variations, but if you want Close Combat with spellcasting heres something, its not exact but something around this: